umm the big thing stealing you MPG in the exhaust.
This is the wiki on them:
A diesel particulate filter, sometimes called a DPF, is a device designed to remove diesel particulate matter or soot from the exhaust gas of a diesel engine. Wall-flow diesel particulate filters usually remove 85% or more of the soot, and can at times (heavily loaded condition) attain soot removal efficiencies of close to 100%. A diesel-powered vehicle equipped with functioning filter will emit no visible smoke from its exhaust pipe.
In addition to collecting the particulate, a method must exist to clean the filter. Some filters are single-use (disposable), while others are designed to burn off the accumulated particulate, either through the use of a catalyst (passive), or through an active technology, such as a fuel burner which heats the filter to soot combustion temperatures, through engine modifications (the engine is set to run a certain specific way when the filter load reaches a pre-determined level, either to heat the exhaust gases, or to produce high amounts of NO2, which will oxidize the particulates at relatively low temperatures), or through other methods. This is known as "filter regeneration". Sulfur in the fuel interferes with many "regeneration" strategies, so almost all jurisdictions that are interested in the reduction of particulate emissions, are also passing regulations governing fuel sulfur levels.
I got rid of mine and could not be happier with what changed.